This study considers a distributionally robust portfolio optimization problem with an ambiguous stochastic dominance constraint by assuming the unknown ...
This study considers a distributionally robust portfolio optimization problem with an ambiguous stochastic dominance constraint by assuming the unknown ...
We use a cutting plane to solve our second-order stochastic dominance constraint portfolio optimization problem with ambiguity sets based on the Wasserstein ...
Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric. https://doi.org/10.1016/j.ins.2022.09.039 ...
Mar 12, 2022 · Using the Wasserstein metric, we construct an ambiguity set and develop a data-driven distributionally robust optimization model with ...
We require the dominance constraints to hold with respect to all probability distributions in a Wasserstein ball centered at the empirical distribution. We ...
Abstract. We consider a distributionally robust second-order stochastic dominance constrained optimization problem, where the true distribution of the ...
Sep 8, 2024 · We consider a distributionally robust second-order stochastic dominance constrained optimization problem, where the true distribution of the ...
Oct 19, 2021 · • Compared to moment-based ambiguity sets, the Wasserstein distance contains an extra optimization problem on computing the optimal ...
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This paper presents the first comprehensive study of a data-driven formulation of the distributionally robust second order stochastic dominance constrained ...